10.4225/03/59378cd6b0be7 Benson, Karen Karen Benson Pope, Peter Peter Pope Faff, Robert Robert Faff The Relevance of Investor Risk Classes in Ranking Fund Performance: An Application of the Extended Mean-Gini CAPM Monash University 2017 monash:6845 1959.1/35609 2001 2017-06-07 05:19:17 Journal contribution https://bridges.monash.edu/articles/journal_contribution/The_Relevance_of_Investor_Risk_Classes_in_Ranking_Fund_Performance_An_Application_of_the_Extended_Mean-Gini_CAPM/5085184 The primary focus of this paper is to investigate whether the introduction of investor risk classes to the fund performance model affects relative performance rankings. In other words, are investor risk classes relevant? This analysis is conducted in an Extended Mean Gini (EMG) CAPM framework. Our results support the conclusion that investor risk class is not relevant to the performance ranking of a fund. Thus, it would seem that fund managers are not developing portfolios which are suited to a particular class of risk averse investors. Furthermore, based on our results equity fund managers are unable to outperform the market portfolio. Finally, we find no relationship between performance and perceived level of activity - thus suggesting the irrelevance of perceived management style.